Silmarillion tells us what happens to the souls of Men and Elves:

... For the Elves die not till tile world dies, unless they are slain or waste in grief (and to both these seeming deaths they are subject); neither does age subdue their strength, unless one grow weary of ten thousand centuries; and dying they are gathered to the halls of Mandos in Valinor, whence they may in time return. But the sons of Men die indeed, and leave the world; wherefore they are called the Guests, or the Strangers. Death is their fate, the gift of Ilúvatar, which as Time wears even the Powers shall envy. ...

But what happens to the souls of other creatures likes dwarves, hobbits, ents, orcs, uruk-hai, maiar, balrogs (and other conscious creatures I might have forgotten)?